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GSG vs. GLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GSG and GLD is 0.26, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

GSG vs. GLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares S&P GSCI Commodity-Indexed Trust (GSG) and SPDR Gold Trust (GLD). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-4.55%
11.56%
GSG
GLD

Key characteristics

Sharpe Ratio

GSG:

0.20

GLD:

1.78

Sortino Ratio

GSG:

0.38

GLD:

2.38

Omega Ratio

GSG:

1.04

GLD:

1.31

Calmar Ratio

GSG:

0.04

GLD:

3.29

Martin Ratio

GSG:

0.56

GLD:

9.45

Ulcer Index

GSG:

5.35%

GLD:

2.82%

Daily Std Dev

GSG:

15.48%

GLD:

14.99%

Max Drawdown

GSG:

-89.62%

GLD:

-45.56%

Current Drawdown

GSG:

-71.99%

GLD:

-6.95%

Returns By Period

In the year-to-date period, GSG achieves a 5.38% return, which is significantly lower than GLD's 25.33% return. Over the past 10 years, GSG has underperformed GLD with an annualized return of -0.33%, while GLD has yielded a comparatively higher 7.86% annualized return.


GSG

YTD

5.38%

1M

-0.28%

6M

-5.46%

1Y

4.09%

5Y*

5.82%

10Y*

-0.33%

GLD

YTD

25.33%

1M

-1.50%

6M

9.83%

1Y

27.38%

5Y*

11.45%

10Y*

7.86%

Compare stocks, funds, or ETFs

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GSG vs. GLD - Expense Ratio Comparison

GSG has a 0.75% expense ratio, which is higher than GLD's 0.40% expense ratio.


GSG
iShares S&P GSCI Commodity-Indexed Trust
Expense ratio chart for GSG: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

GSG vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares S&P GSCI Commodity-Indexed Trust (GSG) and SPDR Gold Trust (GLD). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for GSG, currently valued at 0.20, compared to the broader market0.002.004.000.201.78
The chart of Sortino ratio for GSG, currently valued at 0.38, compared to the broader market-2.000.002.004.006.008.0010.000.382.38
The chart of Omega ratio for GSG, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.001.041.31
The chart of Calmar ratio for GSG, currently valued at 0.04, compared to the broader market0.005.0010.0015.000.043.29
The chart of Martin ratio for GSG, currently valued at 0.56, compared to the broader market0.0020.0040.0060.0080.00100.000.569.45
GSG
GLD

The current GSG Sharpe Ratio is 0.20, which is lower than the GLD Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of GSG and GLD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.20
1.78
GSG
GLD

Dividends

GSG vs. GLD - Dividend Comparison

Neither GSG nor GLD has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

GSG vs. GLD - Drawdown Comparison

The maximum GSG drawdown since its inception was -89.62%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for GSG and GLD. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-71.99%
-6.95%
GSG
GLD

Volatility

GSG vs. GLD - Volatility Comparison

The current volatility for iShares S&P GSCI Commodity-Indexed Trust (GSG) is 3.30%, while SPDR Gold Trust (GLD) has a volatility of 5.12%. This indicates that GSG experiences smaller price fluctuations and is considered to be less risky than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.30%
5.12%
GSG
GLD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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